If you're doing your slide show in PPT, it will allow you to use WMA.
However, if you need to embed the sound, it must be WAV.

To convert from WMA to WAV, you'll need an audio editor. Open the WMA and
Save or Export WAV.

http://www.google.com/search?sourceid=navclient&ie=UTF-8&rls=ATSA,ATSA:2006-01,A
TSA:en&q=convert+WMA+to+WAV
turns up a ton of hits.

Other good audio editors which will probably do the trick include Audacity
http://audacity.sourceforge.net/  GoldWave http://www.goldwave.com Sound
Forge Audio Studio
http://www.sonymediasoftware.com/Products/ShowProduct.asp?PID=975 and others
along those lines.

Also see Play sounds across multiple slides (A WAV runs through it)
http://www.rdpslides.com/pptfaq/FAQ00047.htm